Fair pricing of superannuation guaranteed benefits with downturn risk

养老金保证福利的公平定价与经济衰退风险

• 批准号: DP200101550
• 负责人: Prof Marek Rutkowski
• 金额: $ 27.38万
• 依托单位: The University of Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2020
• 资助国家: 澳大利亚
• 起止时间: 2020-07-01 至 2024-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP200101550
• 关键词: Fair; pricing; superannuation; guaranteed; benefits

Australians have more than $2.7 trillion in superannuation assets, meaning that Australia is the fourth largest holder of pension fund assets worldwide. Hence the impact of market fluctuations on financial well-being of retirees can be detrimental, especially during market downturns associated with economic crises. The finance industry addresses this issue by complementing variable annuities with riders designed to protect the income stream of retirees. This project aims to develop a novel approach to fair pricing and optimal withdrawals and surrender policies for superannuation guaranteed benefit products through a comprehensive analysis of complex optimisation problems in stochastic models of financial markets with downturn risk.

澳大利亚人拥有超过2.7万亿美元的退休金资产，这意味着澳大利亚是全球养老基金资产的第四大持有人。因此，市场波动对退休人员的财务福祉的影响可能是有害的，尤其是在与经济危机相关的市场低迷期间。金融行业通过与旨在保护退休人员收入流的骑手补充变量年金来解决这个问题。该项目旨在通过对具有低迷风险的金融市场的随机模型中的复杂优化问题进行全面分析，开发出一种新颖的方法来进行公平的定价和最佳提款和退休金保证福利产品的保证。